CEO對其股權進行避險與公司風險性投資及信用評等之影響

Abstract

本研究主要探討當總經理可以對於其股權進行避險行為時，該避險行為對於與總經理的風險偏好以及信用評等的影響。 為了解決代理問題，公司常給予總經理鉅額的股票或者是權益報酬，但這又衍生出另一個問題。因為總經理的個人財富會與公司的表現緊密的連結，會使得總經理高度暴露在公司特定風險之中，為了規避該風險，總經理會作出對於公司次好的決定。當總經理可以將自己持有的股權進行避險時，可以防止持有股票之價值下跌，又可以獲得或鎖定股票上漲的利益。因此，本研究預期總經理進行避險交易後，會激勵其願意承擔風險，執行較具風險性的政策(例如：研究發展支出)，並增加公司整體風險，因為當公司整體風險增加，總經理持有的大量員工認股權價值亦會隨公司風險增加。然而當資金投入於高風險性的投資時，會使公司發生財務危機以及倒債風險的可能性提升，因此信用評等機構可能會因此降低該公司之信用評等。本研究使用1996年至2014年中，該年總經理有進行避險交易之美國上市公司及同產業、同規模的公司為樣本。 在公司風險行為模型中，本研究以研究發展支出以及公司整體風險作為風險行為之代理變數，實證結果發現，當總經理對於其股權進行避險交易後，可以使得其個人財富暴露於公司特定風險的程度降低，總經理財產的價值不會因為股價的下跌而損失，又可以得到股價上漲的利益，所以原本規避風險的總經理會願意承擔風險，因此會增加具有風險性的政策，同時公司整體風險也會隨之上升。 在信用評等模型中，以Standard & Poor’s國內長期債權人的信用評等作為衡量信用評等之依據，實證結果發現，當總經理對於其股權進行避險行為後，會進行高風險性的政策，使公司整體風險增加。本文同時也發現，當總經理對於其股權進行避險行為後，信用評等機構會調降該公司之信用評等，可能由於高風險性的政策會增加公司發生財務危機以及倒債風險的可能性提升。

This paper examines the relationship between the CEO’s hedging transactions and his risk-taking behavior as well as the firm’s credit rating. In order to solve agency problem, firms give their CEOs a substantial amount of equity-based compensation, which gives rise to another problem. Because the CEO’s wealth is close tied to the firm’s stock price performance, he is exposed to a high level of firm-specific risk, and thus has an incentive to reduce risk by undertaking inefficient corporate policies. If the CEO is hedges the risk of his euqity holdingsusing derivative transactions, his personal wealth is isolated from the stock price volatility. Therefore, I expect that after the CEO makes hedging transactions, he will have an incentive to increase risk-taking behavior (e.g., invest more heavily in R&D), and therefore the firm’s total risk. Risky investments will result in a higher default risk and a higher possibility of financial crisis for the firm, thereby leading to poorer credit ratings. Using U.S. public-traded companies with CEO hedging transactions from 1996 to 2014 as well as matching firms in the same year, industry, and with similar sizeI find that CEOs engaging in hedging transactions are more likely take risk investments, as proxied by a higher R&D expense and total firm risk. Moreover, I find that firms are more likely to have a lower credit rating after their CEOs engaging in hedging transactions, suggesting that credit rating agencies incorporate the risky firm profile into consideration when determining the credit quality of the firm. I find that CEO’s hedging transactions lead CEOs to invest in risky activity, and rating agencies downgrade the firm’s credit rating.